A note on the uniqueness of solutions to rational expectations models
- Klein (2000) advocates the use of the Schur decomposition of a matrix pencil to solve linear rational expectations (RE) models. Meanwhile his algorithm has become a center piece in several computer codes that provide approximate solutions to (non-linear) dynamic stochastic general equilibrium (DSGE) models. A subtlety not resolved by Klein is whether or not a certain Schur decompostion could fail to solve the model while a second one would provide a solution. We show that this cannot happen.
Author: | Christopher HeibergerGND, Torben Klarl, Alfred MaußnerGND |
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URN: | urn:nbn:de:bvb:384-opus4-710991 |
Frontdoor URL | https://opus.bibliothek.uni-augsburg.de/opus4/71099 |
Series (Serial Number): | Volkswirtschaftliche Diskussionsreihe (319) |
Publisher: | Volkswirtschaftliches Institut, Universität Augsburg |
Place of publication: | Augsburg |
Type: | Working Paper |
Language: | English |
Year of first Publication: | 2012 |
Publishing Institution: | Universität Augsburg |
Release Date: | 2020/02/21 |
Tag: | JEL: C63, C88, E37 |
Pagenumber: | 13 |
Institutes: | Wirtschaftswissenschaftliche Fakultät |
Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre | |
Wirtschaftswissenschaftliche Fakultät / Institut für Volkswirtschaftslehre / Lehrstuhl für Empirische Makroökonomik (Maußner) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Journals: | Volkswirtschaftliche Diskussionsreihe |
Licence (German): | Deutsches Urheberrecht |